This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t-statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time-varying properties of persistence. The asymptotic distributions of the new tests are derived and critical values are provided. An in-depth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local Generalized Least Squares (GLS) de-trended Dickey–Fuller type tests under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation shows that for most series analysed persistence was high in the first half of the sample and subsequently decreased. These results conform with modern macroeconomic theories that point to changes in inflation dynamics in the early 1980s and also with recent empirical evidence against the I(1)−I(0) dichotomy.

中文翻译：

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重新审视经合组织国家的通货膨胀持续动态：一种新方法*

本文介绍了一个简单且易于实现的过程来测试持久性的变化。在替代假设下表征持久性变化的时变参数由简约余弦函数近似。新测试是t的最小值-从测试回归计算的统计量，该回归考虑了用于评估持久性的时变特性的频率项的一组合理值。导出新测试的渐近分布并提供临界值。深入的蒙特卡罗分析表明，与在具有持久性变化的各种数据生成过程下的局部广义最小二乘法 (GLS) 去趋势 Dickey-Fuller 类型测试相比，新程序具有重要的功率增益。此外，对经合组织国家通货膨胀的实证应用表明，对于大多数系列分析，样本的前半部分持续性很高，随后下降。I (1)− I (0) 二分法。